One reason for the trend is due to Chinese markets' exposure to non-energy commodities, according to a study published in August by Axioma, a risk and performance analytics provider.

"The tariff spat caught China more exposed to changes in broad non-energy commodity prices, and the recent downturn in these commodities has weighed heavily on the Chinese market," said Diana R. Rudean, director of applied research at Axioma.

Shifts in the commodity trade are early indicators of global economic health and trade flows and are especially pertinent in the ongoing trade dispute as China consumes much of the world's raw materials.

"Indeed, the U.S. — at least the U.S. equity market — appears to have largely skirted the effects of the trade war," Rudean added in the report.

As a comparison, the American Russell 1000 is up about 10 percent in 2018 while China's CSI 300 — an index measuring 300 stocks on the Shanghai and Shenzhen exchanges — is down about 15 percent in the same period. The Russell 1000 represents the top U.S. companies by market capitalization.

In fact, the sensitivity of the Russell 1000 to the GSCI Non-Energy Index has been trending downward since 2010, indicating that changes in broad commodity prices had a declining impact on the U.S. market, wrote Rudean.

The U.S. market's declining sensitivity to non-energy commodities could be due to reasons such as deregulation, tax cuts and protectionist policies such as tariffs boosting investor sentiment in the U.S. market.

Those factors "may have decoupled the moves of the market from the moves of the global non-energy commodities," Rudean told CNBC.

"Also, as the U.S. market rose after November 2016, it may have moved towards stocks that are less sensitive to the commodity market. For example, technology stocks became a bigger part of the Russell 1000, and their lower sensitivity to commodities may have also drawn down the index sensitivity to commodities," she added.